Download the LAME encoder linked to above, put it in C:\Program Files\Audacity, open the wav file in Audacity and then File -> Export as MP3, it will ask you for the lame_enc.dll, select the copy you put in Program File and its done!

The reason you have to download the MP3 encoder separately is because MP3 is a proprietary format, this way Audacity can be given out for free and an open source implementation of the proprietary encoder can be given out separately, ensuring the legality of the whole thing.